Ok I can explain quickly.
1) Go to your czero folder. Located conviniently at:
c:/programfiles/steam/steamapps/*your-steam-account/condtion zero/czero
2) From here, open up your models folder.
3) Look for a "player" folder. If you dont have one, create one with the name "player" without the quotes as the folder name.
4) Open the player folder.
5) FOR CT models you need to create the fallowing folders.
urban
gign
gsg9
sas
Place the model the folder that matches the model's name.
Example: "urban.mdl" goes in the "urban" folder.
6) FOR TERRORIST models you need to create the fallowing folders.
terror
arctic
gurrilla
leet
Place the model the folder that matches the model's name.
Example: "terror.mdl" goes in the "terror" folder.
7) Start the game to see if this worked.
Hope this helped you, drop me a pm if you need anything else. Sorry no screenies.